Showing posts with label Options-Trading-Model. Show all posts
Showing posts with label Options-Trading-Model. Show all posts

Friday, October 18, 2019

Options Trading Model-R

 TwoAssetCorrelationOption

Options Trading Model-R


 TwoAssetCorrelationOption(TypeFlag = "c", S1 = 52, S2 = 65, + X1 = 50, X2 = 70, Time = 0.5, r = 0.10, b1 = 0.10, b2 = 0.10, sigma1 = 0.2, sigma2 = 0.3, rho = 0.75)
where S1=Asset price 1ST
S2=Asset price SECOND
X1=First exercise price
X2=Second  exercise price
Time=0.5 means 6 month
r=Rate of interest yearly
b1=The annualized cost-of-carry rate for the first ASSET
b2=The annualized cost-of-carry rate for the second asset
sigma1=The annualized volatility of the firsT
sigma2=The annualized volatility of the second
rho=The correlation coefficient b/w returns of two assets
Title: Two Asset Correlation Option 
Call: TwoAssetCorrelationOption(TypeFlag = "c", S1 = 52, S2 = 65, X1 = 50,      X2 = 70, Time = 0.5, r = 0.1, b1 = 0.1, b2 = 0.1, sigma1 = 0.2,      sigma2 = 0.3, rho = 0.75)
Parameters:          Value: TypeFlag c      S1       52     S2       65     X1       50     X2       70     Time     0.5    r        0.1    b1       0.1    b2       0.1    sigma1   0.2    sigma2   0.3    rho      0.75  
Option Price: 4.707327 
Description: Fri Oct 18 13:58:23 2019 
Title:
 European Exchange Option 

Call:
 EuropeanExchangeOption(S1 = 22, S2 = 0.2, Q1 = 1, Q2 = 1, Time = 0.1, 
     r = 0.1, b1 = 0.04, b2 = 0.06, sigma1 = 0.2, sigma2 = 0.25, 
     rho = -0.5)

Parameters:
        Value:
 S1     22    
 S2     0.2   
 Q1     1     
 Q2     1     
 Time   0.1   
 r      0.1   
 b1     0.04  
 b2     0.06  
 sigma1 0.2   
 sigma2 0.25  
 rho    -0.5  

Option Price:
 21.66919 

Description:

 Fri Oct 18 14:28:49 2019 
Title:
 American Exchange Option 

Call:
 AmericanExchangeOption(S1 = 22, S2 = 0.2, Q1 = 1, Q2 = 1, Time = 0.1, 
     r = 0.1, b1 = 0.04, b2 = 0.06, sigma1 = 0.2, sigma2 = 0.25, 
     rho = -0.5)

Parameters:
        Value:
 S1     22    
 s2     0.2   
 Q1     1     
 Time   0.1   
 r          0.1   
 b1        0.04  
 b2        0.06  
 sigma1  0.2   
 sigma2  0.25  
 rho        -0.5  

Option Price:
 21.8 

Description:

 Fri Oct 18 14:30:37 2019
Title:
 Exchange On Exchange Option 

Call:
 ExchangeOnExchangeOption(TypeFlag = as.character(flag), S1 = 105, 
     S2 = 100, Q = 0.1, time1 = 0.75, Time2 = 1, r = 0.1, b1 = 0.1, 
     b2 = 0.1, sigma1 = 0.2, sigma2 = 0.25, rho = -0.5)

Parameters:
          Value:
 TypeFlag 3     
 S1       105   
 S2       100   
 Q        0.1   
 time1    0.75  
 Time2    1     
 r        0.1   
 b1       0.1   
 b2       0.1   
 sigma1   0.2   
 sigma2   0.25  
 rho      -0.5  

Option Price:
 7.366996 

Description:
 Fri Oct 18 14:33:30 2019 


Title:
 Exchange On Exchange Option 

Call:
 ExchangeOnExchangeOption(TypeFlag = as.character(flag), S1 = 105, 
     S2 = 100, Q = 0.1, time1 = 0.75, Time2 = 1, r = 0.1, b1 = 0.1, 
     b2 = 0.1, sigma1 = 0.2, sigma2 = 0.25, rho = -0.5)

Parameters:
          Value:
 TypeFlag 4     
 S1       105   
 S2       100   
 Q        0.1   
 time1    0.75  
 Time2    1     
 r        0.1   
 b1       0.1   
 b2       0.1   
 sigma1   0.2   
 sigma2   0.25  
 rho      -0.5  

Option Price:
 3.877121 

Description:

 Fri Oct 18 14:33:30 2019 
TwoRiskyAssetsOption(TypeFlag = "cmax", S1 = 100, S2 = 105, X = 98, Time = 0.5, r = 0.05, b1 = -0.01, b2 = -0.04,sigma1 = 0.11, sigma2 = 0.16, rho = 0.63)

Title:
 Two Risky Assets Option 

Call:
 TwoRiskyAssetsOption(TypeFlag = "cmax", S1 = 100, S2 = 105, X = 98, 
     Time = 0.5, r = 0.05, b1 = -0.01, b2 = -0.04, sigma1 = 0.11, 
     sigma2 = 0.16, rho = 0.63)

Parameters:
          Value:
 TypeFlag cmax  
 S1       100   
 S2       105   
 X        98    
 Time     0.5   
 r        0.05  
 b1       -0.01 
 b2       -0.04 
 sigma1   0.11  
 sigma2   0.16  
 rho      0.63  

Option Price:
 8.070065 

Description:

 Fri Oct 18 14:35:14 2019
Title:
 Two Risky Assets Option 

Call:
 TwoRiskyAssetsOption(TypeFlag = "pmax", S1 = 100, S2 = 105, X = 98, 
     Time = 0.5, r = 0.05, b1 = -0.01, b2 = -0.04, sigma1 = 0.11, 
     sigma2 = 0.16, rho = 0.63)

Parameters:
          Value:
 TypeFlag pmax  
 S1       100   
 S2       105   
 X        98    
 Time     0.5   
 r        0.05  
 b1       -0.01 
 b2       -0.04 
 sigma1   0.11  
 sigma2   0.16  
 rho      0.63  

Option Price:
 1.218085 

Description:

 Fri Oct 18 14:36:39 2019 
SpreadApproxOption(TypeFlag = "c", S1 = 28, S2 = 20, X = 7, Time = 0.25, r = 0.05, sigma1 = 0.29, sigma2 = 0.36, rho = 0.42)

Title:
 Spread Approx Option 

Call:
 SpreadApproxOption(TypeFlag = "c", S1 = 28, S2 = 20, X = 7, Time = 0.25, 
     r = 0.05, sigma1 = 0.29, sigma2 = 0.36, rho = 0.42)

Parameters:
          Value:
 TypeFlag c     
 S1       28    
 S2       20    
 X        7     
 Time     0.25  
 r        0.05  
 sigma1   0.29  
 sigma2   0.36  
 rho      0.42  

Option Price:
 2.140127 

Description:

 Fri Oct 18 14:38:01 2019 

Black-Scholes formula-R

 Black-Scholes formula-R > BlackScholes <- function(TypeFlag = c("c", "p"), S, X, Time, r, b, sigma) { TypeFla...